Pengaruh Bankruptcy Risk, Size Dan Book-to-market Perusahaan Terhadap Imbal Hasil

Chintya Afriani Utama • Astari Lumondang

Abstract

This study investigates: a) the influence o f firm size and book-to-market ratio on bankruptcy risk, and b) the effect o f bankruptcy risk, firm size, and book-to-market ratio on subsequent return. The study employs Altman Z-Score and Ohlson 0-Score as proxies for bankruptcy risk. The results show that size has positive impact on Bankruptcy Risk measured by Altman Z-Score while book-to-market has positive impact on bankruptcy risk measured Ohlson 0-Score. Furthermore, the results show that none o f the variables has significant impact on subsequent return. Overall, this study asserts Dichev's (1998) findings that bankruptcy risk is not rewarded by higher stock returns and therefore not systematic.

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Journal

Indonesian Journal of Accounting and Finance

Jurnal Akuntansi dan Keuangan Indonesia (JAKI; English: Indonesian Journal of Accounting and Fina... see more